Showing 1 - 10 of 182
In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean norm of a data-dependent vector. Examples that can be cast into this frame include threshold regression models with estimated thresholds and structural break models with estimated...
Persistent link: https://www.econbiz.de/10012241853
In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean norm of a data-dependent vector. Examples that can be cast into this frame include threshold regression models with estimated thresholds, and structural break models with estimated...
Persistent link: https://www.econbiz.de/10012109832
We propose a simple model selection test for choosing among two parametric likelihoods which can be applied in the most general setting without any assumptions on the relation between the candidate models and the true distribution. That is, both, one or neither is allowed to be correctly...
Persistent link: https://www.econbiz.de/10010254849
This paper proposes a speci.cation test of the mixed logit models, by generalizing Haus- man and McFadden.s (1984) test. We generalize the test even further by considering a model developed by Berry, Levinsohn and Pakes (1995).
Persistent link: https://www.econbiz.de/10011775834
We propose a simple model selection test for choosing among two parametric likelihoods which can be applied in the most general setting without any assumptions on the relation between the candidate models and the true distribution. That is, both, one or neither is allowed to be correctly...
Persistent link: https://www.econbiz.de/10011517190
The goal of this paper is to develop formal tests to evaluate the relative in-sample performance of two competing, misspecified non-nested models in the presence of possible data instability. Compared to previous approaches to model selection, which are based on measures of global performance,...
Persistent link: https://www.econbiz.de/10009554364
We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based on actual returns rather than logarithmic returns and is therefore better suited to capturing price predictability. It captures not only linear dependence in the same way as the...
Persistent link: https://www.econbiz.de/10010481079
We study the problem of nonparametric regression when the regressor is endogenous, which is an important nonparametric instrumental variables (NPIV) regression in econometrics and a difficult ill-posed inverse problem with unknown operator in statistics. We first establish a general upper bound...
Persistent link: https://www.econbiz.de/10010197046
This paper reviews recent developments in nonparametric identi.cation of mea- surement error models and their applications in applied microeconomics, in particular, in empirical industrial organization and labor economics. Measurement error models describe mappings from a latent distribution to...
Persistent link: https://www.econbiz.de/10010469057
Persistent link: https://www.econbiz.de/10001748192